Inference with Difference-in-Differences and Other Panel Data
Stephen Donald and
Kevin Lang
The Review of Economics and Statistics, 2007, vol. 89, issue 2, 221-233
Abstract:
We examine inference in panel data when the number of groups is small, as is typically the case for difference-in-differences estimation and when some variables are fixed within groups. In this case, standard asymptotics based on the number of groups going to infinity provide a poor approximation to the finite sample distribution. We show that in some cases the t-statistic is distributed as t and propose simple two-step estimators for these cases. We apply our analysis to two well-known papers. We confirm our theoretical analysis with Monte Carlo simulations. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
Date: 2007
References: Add references at CitEc
Citations: View citations in EconPapers (706)
Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/rest.89.2.221 link to full text (application/pdf)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:tpr:restat:v:89:y:2007:i:2:p:221-233
Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535
Access Statistics for this article
The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu
More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().